The Babadook: The Babadook itself IS real, but its a manifestation of Amelia's magic/power. The Babadook is typically accepted as a story about dealing with Grief and Trauma. The Babadook itself is often taken as metaphorical. Its all in Amelia's mind, as it were.
The movie's final scene suggests that the monster will always be around, but Amelia will learn how to deal with it and still live the life that she wants to live. The Babdook monster represents grief itself, which is a clever and moving metaphor.
Azazel's popularity and importance towards the franchise even led him to be the main antagonist and the analogue to Lucifer in the anime adaptation, as the "Yellow-Eyed Demon," in reference to the nickname he had in the original first two seasons.
In the TV show "Supernatural," the strongest demon is often considered to be the demon named Lucifer. Lucifer is one of the most powerful beings in the show and is portrayed as a major antagonist.